Article 15
Coverage requirements
1.
Member States shall ensure investor protection by requiring covered bond programmes to comply at all times with at least the coverage requirements laid down in paragraphs 2 to 8.
2.
All liabilities of the covered bonds shall be covered by claims for payment attached to the cover assets.
3.
The liabilities referred to in paragraph 2 shall include:
(a)
the obligations for the payment of the principal amount of outstanding covered bonds;
(b)
the obligations for the payment of any interest on outstanding covered bonds;
(c)
the payment obligations attached to derivative contracts held in accordance with Article 11; and
(d)
the expected costs related to maintenance and administration for the winding-down of the covered bond programme.
For the purposes of point (d) of the first subparagraph, Member States may allow a lump sum calculation.
4.
The following cover assets shall be considered to contribute to the coverage requirement:
(a)
(b)
(c)
liquid assets held in accordance with Article 16; and
(d)
claims for payment attached to derivative contracts held in accordance with Article 11.
Uncollateralised claims where a default is considered to have occurred pursuant to Article 178 of Regulation (EU) No 575/2013 do not contribute to coverage.
5.
For the purposes of point (c) of the first subparagraph of paragraph 3 and point (d) of the first subparagraph of paragraph 4, Member States shall lay down rules on the valuation of derivative contracts.
6.
The calculation of the required coverage shall ensure that the aggregate principal amount of all cover assets is equal to or exceeds the aggregate principal amount of outstanding covered bonds (‘nominal principle’).
Member States may allow for other principles of calculation, provided that they do not result in a higher ratio of coverage than that calculated under the nominal principle.
Member States shall lay down rules on the calculation of any interest payable in respect of outstanding covered bonds and interest receivable in respect of cover assets, which shall reflect sound prudential principles in accordance with applicable accounting standards.
7.
By way of derogation from the first subparagraph of paragraph 6, Member States may, in a manner which reflects sound prudential principles and in accordance with applicable accounting standards, allow for future interest receivable on the cover asset net of future interest payable on the corresponding covered bond to be taken into consideration in order to balance any shortfall in coverage of the principal payment obligation attached to the covered bond where there is a close correspondence as defined in the applicable delegated regulation adopted pursuant to Article 33(4) of Regulation (EU) No 575/2013, subject to the following conditions:
(a)
payments received during the lifetime of the cover asset and necessary for coverage of the payment obligation attached to the corresponding covered bond are segregated in accordance with Article 12 or are included in the cover pool in the form of cover assets referred to in Article 6 until the payments become due; and
(b)
prepayment of the cover asset is only possible by way of exercising the delivery option, as defined in the applicable delegated regulation adopted pursuant to Article 33(4) of Regulation (EU) No 575/2013 or, in the case of covered bonds callable at par by the credit institution issuing the covered bonds, by way of the cover asset’s borrower paying at least the called covered bond’s par amount.
8.
Member States shall ensure that the calculation of cover assets and liabilities is based on the same methodology. Member States may allow for different calculation methodologies for the calculation of cover assets on the one hand and liabilities on the other, provided that the use of such different methodologies does not result in a higher ratio of coverage than that calculated using the same methodology for the calculation of both cover assets and liabilities.